There are no unicorns. Sorry. There should be, but there aren't. The beavers and bats though, you'll find them "west of the Pacific Union Railroad Camp and north of Beecher's Hope" and Tumbleweed/Thieve's Landing respectively.

Those two nuggets can be found among many more on Rockstar's official guide to the wild critters of Red Dead Redemption, available over on the game's official site.

It's pretty handy; I didn't even know there were bats in the game, or ducks for that matter, so if you'll excuse me, I've got some wild animals to spot, then shoot.